No the new oven smell is not toxic.
Although the new oven smell smells awful and can make you feel sick the new oven smell is not toxic or harmful to your health.
Although it's still not good to breath the new oven smell in when the oven is on.
When you get a new oven the best thing to do is to open the windows and allow the coating to burn off with the windows and doors open while you wait outside.
Or if possible if it's an electric oven you could possibly plug the electric oven or stove in outside and let the smell burn off.
I created an extension cord when I got a new oven with some 10 AWG wire and plugged my new electric oven in outside.
Then I turned the oven on until the new oven smell went away.
Then I installed the oven and stove into the house.
If you've recently bought a new oven or range, you may have noticed an odd smell that filled your house when you turned it on for the first time.
But even as alarming as it may be, it's completely normal, so long as the odor is oily or of something burning (and not gas -- that's rather more serious).